IBEX 35 Backtested Returns
holds Efficiency (Sharpe) Ratio of 0.211 which attests that IBEX 35
had 0.211% of return per unit of return volatility over the last 1 month. Our approach into determining volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for IBEX 35 which you can use to evaluate future volatility of the entity. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Although it is extremely important to respect IBEX 35
current price history, it is better to be realistic regarding the information on equity current price movements. The approach into determining future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators
. By inspecting IBEX 35 technical indicators
you can right now evaluate if the expected return of 0.1423% will be sustainable into the future.
|15 days auto-correlation||(0.55) |
Good reverse predictability
IBEX 35 has good reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of IBEX 35 price movement. The serial correlation of -0.55 indicates that about 55.0% of current IBEX 35 price fluctuation can be explain by its past prices. Given that IBEX 35 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IBEX 35 for similar time interval.
|Correlation Coefficient|| -0.55|
|Spearman Rank Test|| -0.87|
|Price Variance|| 18524.16|
|Lagged Price Variance|| 6593.82|
IBEX 35 Lagged Returns